臺灣不同產業類別進口物價的匯率轉嫁特性分析

Exchange Rate Pass-Through Analysis Using Industrial Import Price Indices in Taiwan

本文旨在瞭解臺灣各產業進口商品的匯率轉嫁並分析其可能的不穩定特性。我們建立了考慮運輸成本在內的一般化成本加價模型，推導出進口產業的匯率轉嫁估計式。由於忽略產業特性直接加總不同部門價格可能產生總和偏誤問題，故本文對各不同進口產業類別的匯率轉嫁進行實證推估。我們發現臺灣各進口產業間匯率轉嫁程度迥異，並且匯率轉嫁係數在各產業間普遍不穩定；臺灣16大進口產業中，最終財的匯率轉嫁程度在產業間的差異性整體而言較中間財大，且其不穩定性普遍亦較高。最後，運輸成本僅在進口物價總指數及少數產業的匯率轉嫁估計中扮演不可忽略的角色。

The purpose of this study is to investigate the basic features of the exchange rate pass-through in Taiwan using industrial import price indices and then to analyze the preliminary characteristics of parameter instability. We build up a mark-up model with transaction cost to derive the empirical estimation formula in order to understand the imported exchange rate pass-through. In order to prevent possible dynamic aggregation bias, we estimate the sectoral exchange rate pass-through using industrial import price indices. Of importance, we found that the degrees of exchange rate pass-through were dramatically different across sectors, and there are the problems of instability. More specifically, the variability of exchange rate pass-through in the final goods sector is much bigger than that in the intermediate goods sector. Finally, the transportation cost plays a non-trivial role only in aggregate imports and some sectors.